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A B C D E F G H I J
Solution 12/7/2012
Chapter:
8
Problem:
8
You have been given the following information on a call option on the stock of Puckett Industries:
a. Using the Black-Scholes Option Pricing Model, what is the value of the call option?
First, we will use formulas from the text to solve for d1 and d2.
Hint: use the NORMSDIST function.
(d1) = 0.038 N(d1) = 0.515108
Put option using Black-Scholes modified formula = $11.075
b. Suppose there is a put option on Puckett's stock with exactly the same inputs as the call option. What is the
value of the put?
